Sure, you can tar first. That has various issues though, for example if you just want to extract one file in the middle of the archive, it still needs to decompress everything up to that point. Something like 7-Zip is more sophisticated in terms of how it indexes files in the archive, so I'm looking forward to them adding zstd support.

FWIW most of my uses of zstd don't involve tar, but it's in things like Borgbackup, database systems, etc.